Comparer des méthodes

	MCMC pour séries temporelles	Monte Carlo séquentiel
Domaine	Bayésien	Bayésien
Famille	Bayesian methods	Bayesian methods
Année d'origine	1994–1997	1993 (particle filter); 2006 (SMC samplers)
Auteur d'origine	Carter & Kohn; West & Harrison	Gordon, Salmond & Smith (particle filter); Del Moral, Doucet & Jasra (SMC samplers)
Type	Bayesian posterior sampling for time-ordered data	Sequential Bayesian computation
Source fondatrice	Carter, C. K. & Kohn, R. (1994). On Gibbs sampling for state space models. Biometrika, 81(3), 541–553.	Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (1993). Novel approach to nonlinear/non-Gaussian Bayesian state estimation. IEE Proceedings F - Radar and Signal Processing, 140(2), 107–113.
Alias	MCMC time series, Bayesian time series MCMC, time series posterior sampling, sequential Bayesian MCMC	SMC, particle filter, sequential importance resampling, SMC sampler
Apparentées	6	6
Résumé	Time series MCMC applies Markov chain Monte Carlo methods to Bayesian inference over time-ordered data. Rather than optimising a single parameter estimate, it draws samples from the full joint posterior of parameters and latent states, yielding probability distributions that honestly reflect uncertainty about dynamics, trends, and seasonal patterns across every time point.	Sequential Monte Carlo (SMC) is a family of simulation-based algorithms that approximate evolving probability distributions by propagating and reweighting a cloud of weighted random draws called particles. It handles nonlinear, non-Gaussian models and streams of data naturally, making it the method of choice for real-time state estimation and posterior approximation over complex distributions.